We use the term structure of spreads between rates on interest rate swaps indexed to LIBOR and overnight indexed swaps to infer a term structure of interbank risk. We develop a dynamic term structure model with default risk in the interbank market that, in conjunction with information from the credit default swap market, allows us to decompose the term structure of interbank risk into default a...

Credit risk management is a process in which banks estimate probability of default (PD) for each loan applicant. Data sets of previous loan applicants are built by gathering their data, and these internal data sets are usually completed using external credit bureau’s data and finally used for estimating PD in banks. There is also a continuous interest for bank to use rule based classifiers to b...

In this paper, we examine differences in default risks for formal, informal and semi-formal loans and analyze the determinants of default risks regarding the three credit sources, using household data for Vietnam. We find that smaller-sized households with collateral and/or a guarantor borrow primarily from formal and semi-formal lenders whereas female contractors, large-sized households and bo...

We consider the problem of modelling the term structure of bonds subject to default risk, under minimal assumptions on the default time. In particular, we do not assume the existence of a default intensity and we therefore allow for the possibility of default at predictable times. It turns out that this requires the introduction of an additional term to the forward-rate approach by Heath, Jarro...

This paper makes an analysis on a default swap option that an investment bank in Japan produced on the credit-risk of a convertible bond issued by a third company C. In this default swap option, a protection buyer A against a default of C owns the right of starting an interest swap between the buyer and a protection seller B when a credit event happens. When B starts the swap after a default, t...

This project describes credit default swap (CDS) and shows how to calculate a fair value for such a contract. The stochastic evaluation of both the interest rate and the default intensity are first studied independent by using one factor a Vasicek model for a bond and a one factor model for the probability of no default. After validations the combined effect of stochastic interest rates and def...

We study the valuation and hedging of CSA interest rate derivatives. By CSA interest rate derivatives, we mean a portfolio of OTC interest rate derivatives between two defaultable counterparties, connected by the means of a netting agreement regarding the counterparty risk related cash flows between the two parties. CSA cash flows comprise the collateral relative to this netted set of contracts...

BACKGROUND The Médecins Sans Frontières project of Uzbekistan has provided multidrug-resistant tuberculosis treatment in the Karakalpakstan region since 2003. Rates of default from treatment have been high, despite psychosocial support, increasing particularly since programme scale-up in 2007. We aimed to determine factors associated with default in multi- and extensively drug-resistant tubercu...

Modeling correlated default risk is a new phenomenon currently sweeping through the credit markets. Little is known about the drivers of default risk at the portfolio level. This paper develops a methodology to assess alternative specifications of the joint distribution of default risk. Specifications are based on three criteria: level, asymmetry, and tail-dependence in the joint default distri...

This paper develops a model to value defaultable bonds in emerging markets. Default occurs when some signaling process hits a pre-defined default barrier. The signaling variable is considered to be some macro-economic variables such as foreign exchange rates. The dynamics of the default barrier depend on the volatility and the drift of the signaling variable. We derive a closedform solution of ...